Incentive compatibility and differentiability: New results and classic applications


Mailath, George J. ; Thadden, Ernst-Ludwig von



URL: https://epub.ub.uni-muenchen.de/17413/1/447.pdf
Additional URL: https://core.ac.uk/display/18453613
Document Type: Working paper
Year of publication: 2013
The title of a journal, publication series: SFB/TR 15 Discussion Paper Series
Volume: 447
Place of publication: Mannheim [u.a.]
Publishing house: Sonderforschungsbereich/Transregio 15
Related URLs: https://ideas.repec.org/p/trf/wpaper/447.html
Publication language: English
Institution: School of Law and Economics > VWL, Mikroökonomische Theorie (von Thadden)
Subject: 330 Economics
Abstract: We provide several generalizations of Mailath's (1987) result that in games of asymmetric information with a continuum of types incentive compatibility plus separation implies differentiability of the informed agent's strategy. The new results extend the theory to classic models in finance such as Leland and Pyle (1977), Glosten (1989), and DeMarzo and Duffie (1999), that were not previously covered.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Mailath, George J. ; Thadden, Ernst-Ludwig von (2013) Incentive compatibility and differentiability: New results and classic applications. SFB/TR 15 Discussion Paper Series Mannheim [u.a.] 447 [Working paper]


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